Μοντέλα πιθανοτήτων για την περιγραφή λειτουργικών κινδύνων
Probability models for operational risk
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Keywords
Στατιστική ανάλυση ; Στατιστικές μέθοδοι ; Διαχείριση κινδύνου ; Λειτουργικός κίνδυνος ; Οικονομικά μεγέθη ; Οικονομετρικά υποδείγματα ; ΠιθανότητεςAbstract
Operational risk refers to the risk (probability) of an organization (bank, insurance
company, etc.) to suffer damages due to insufficient or failed internal processes, human
actions and systems or from external events. For the assessment of operational risk it is
necessary to evaluate various risk measures such as Value at Risk, Expected Shortfall, etc.
The evaluation of these indices requires the fitting of appropriate probability models
which, in most cases, do not belong to the classical statistical models .
The present MSc thesis will present the methodologies to be followed for the
assessment of the necessary capital to cover operational risk (Basic Approach,
Standardized Approach, Advanced Measurement Approach). We shall highlight the need
for generalization of the classical models in order to have an adequate description of
economic and other parameters related to operational risks. Then we shall present various
distributions which can describe satisfactorily the distributions of variables related to
operational risks. The methodology used to estimate the parameters of these distributions
will also be presented. Finally, we shall illustrate the use of these techniques in the
analysis of a real dataset.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
113Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές